文章基本信息

标题：SPECIFICATION FOR LATTICE PROCESSES
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作者：Javier Hidalgo ; Myung Hwan Seo
期刊名称：Distributional Analysis Publications
印刷版ISSN：1352-2469
出版年度：2013
卷号：2013
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：We consider an omnibus test for the correct specication of the dynamics of a sequence fx (t)gt2Zd in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the estimator of the unknown parameters of the model under the null hypothesis. One of our main goals of the paper is to provide a transformation to obtain an asymptotic distribution that is free of nuisance parameters. Secondly, we propose a bootstrap analogue of the transformation and show its validity. Third, we discuss the results when fx (t)gt2Zd are the errors of a parametric regression model. As a by product, we also discuss the asymptotic normality of the least squares estimators under very mild conditions. Finally, we present a small Monte Carlo experiment to shed some light on the nite sample behaviour of our test.